Asym v2 — 10 новых кандидатов · validated на 4y данных

Parallel research sprint · нашли AAOI pattern (твой пример сегодня) подтверждён + 9 других сетапов · все с N≥100, многие N≥1000

7 validated 3 needs more data 4 rejected ⚠ Full-day proxy → real Sh ×0.5-0.7 Apr 27, 2026

TOP-3 находки

🥇 monday_gap_down_bounce (LONG)

N=8,962 / 4y · WR 57.1% · mean +0.80% · Sh 2.25

Понедельник, gap-down ≥3% на ликвидном стоке → mean revert от panic selling weekend. 2024 Sh 4.97, 2025 Sh 2.56, 2026 YTD Sh 6.90. Самая сильная находка sprint'a.

🥈 AAOI pattern v6 (SHORT)

N=1,703 / 4y · WR 59.1% · mean +0.85% · Sh 1.49

Твой паттерн валидирован. prev_day_ret ≥+10% AND gap ≤−3% → SHORT. Regime-dependent (2025 stellar, 2026 flat).

🥉 pump_then_volume_dry_short

N=121 / 4y · WR 63.6% · mean +1.29% · Sh 3.23

Самый сильный per-trade edge. Pump вчера на 2× volume + сегодня low volume = momentum dead. 6/7 лет positive. Малый N — bonus signal не standalone.

⚠️ Важный caveat: full-day proxy

В 4y данных нет H/L и нет 11:00 close. Все backtest'ы использовали full-day open→close как proxy для open→11:00 PnL. Реальный 09:30→11:00 typically = 30-60% от full-day move того же знака. Реальные Sharpe ratios будут в 1.5-2× меньше чем показано (т.е. monday Sh 2.25 → реальный ~1.0-1.5; AAOI Sh 1.49 → реальный ~0.7-1.0). Знак (+/−) сохраняется. Все кандидаты требуют intraday backtest на minute данных перед deploy.

AAOI pattern — детальная валидация

4 варианта по строгости фильтров

Variant	N	WR	Mean %	Sh
v1 (prev+3, gap−1)	26,633	51.5%	+0.05%	0.27
v2 (prev+5, gap−2)	7,484	54.7%	+0.26%	0.62
v3 (prev+7, gap−2)	4,568	56.1%	+0.35%	0.74
v5 (prev+10, gap−1)	3,462	56.7%	+0.40%	0.80
v6 (prev+10, gap−3) ⭐	1,703	59.1%	+0.85%	1.49

Sweet spot: v6 — самый строгий фильтр, лучшие per-trade numbers. ~425 сделок/год.

По годам (v6) — regime-dependence

Edge ярко проявился в 2025 (bull-rotation regime). 2022 (bear) и 2026 YTD — нейтрально/слабо. Recommendation: deploy с regime gate (skip когда SPY 5d Sh < 0).

10 кандидатов — детально

▮▮▮ TIER 1 (HIGH edge, validated)

monday_gap_down_bounce

LONG · calendar+reversal · 30 min build

N=8,962 4y

WR 57.1%

+0.80% mean

Sh 2.25 proxy

Понедельник утром gap-down ≥3% на ликвидном стоке = панические продажи на weekend fear → институционалы в начале недели step in → mean revert к mid-morning. Самый сильный паттерн в screen.

dow == Monday AND (open − prev_close)/prev_close ≤ −0.03 AND prev_close ≥ $5 AND volume ≥ 500K → LONG @ 09:30, exit 11:00

2022 Sh −1.24

2023 Sh ~1.2

2024 Sh 4.97

2025 Sh 2.56

2026 YTD Sh 6.90

Caveat: Skip когда SPY 5d ret < −3% (bear regime). 2022 негатив подтверждает.

pump_then_volume_dry_short

SHORT · continuation_failure · 30 min build

N=121 4y · low N

WR 63.6%

+1.29% mean · BEST

Sh 3.23 proxy

Вчера +5% на 2× volume (genuine pump) + сегодня open flat-to-up + volume drying (<70% от 20d avg) = momentum dead, smart money уже вышли вчера, retail bag-holders left → SHORT.

prev_day_ret ≥ +5% AND prev_volume ≥ 2× 20d_avg AND today_volume ≤ 0.7× 20d_avg AND today_gap ≤ +2% AND prev_close ≥ $5

2022 Sh 11.4

2023 Sh 10.4

2024 Sh 3.14

2025 Sh 1.63

2026 YTD N=7

Caveat: Только ~30 сигналов/год — bonus signal/scoring boost, не standalone strategy.

▮▮ TIER 2 (MED-HIGH edge, validated, regime-aware)

post_strong_close_pm_weak_short_v6

SHORT · reversal · AAOI pattern · 1hr build

N=1,703 4y

WR 59.1%

+0.85% mean

Sh 1.49 regime-dep

Твой AAOI пример: вчера parabolic +10% close + сегодня gap-down −3% (PM sellers dumping into open) = institutional profit-taking + retail FOMO trap → SHORT continues fade through 11:00.

prev_day_ret ≥ +10% AND today_gap ≤ −3% AND prev_close ≥ $5 AND volume_today ≥ 500K AND no_news_overnight → SHORT

2022 Sh −0.55

2023 Sh 0.78

2024 Sh 0.24

2025 Sh 2.85 ⭐

2026 YTD −0.15

Caveat: Bull-rotation regime необходим. Add regime gate: skip когда SPY 5d Sh < 0. PM-weak proxied via gap (real PM_close может быть строже).

two_bar_climax_short

SHORT · exhaustion · 30 min build

N=12,678 4y

WR 53.6%

+0.16% mean

Sh 0.44

Lighter версия AAOI: вчера +5% AND сегодня gap-down ≥1% = 2-bar climax. 7× больше events чем v6 но edge тоньше. Use as scoring overlay для organic_pump.

prev_day_ret ≥ +5% AND today_gap ≤ −1% AND prev_close ≥ $5 → SHORT

▮ TIER 3 (MED edge, validated)

five_red_days_bounce

LONG · reversal · 30 min build

N=39,713 4y

WR 51.1%

+0.16% mean

Sh 0.80

5 consecutive red бар (close<open каждый день) на ликвидном стоке = oversold short-term → dip-buyers step in 6-й день morning → ~+1% bounce к 11:00. (3-red слишком тонко Sh 0.25, 5-red sweet spot.)

5 consecutive close<open AND prev_close ≥ $5 AND in 2M-ADV AND no_news_yesterday → LONG

Caveat: Add filter prev_close > prev_close.shift(60) (выше 3m baseline) — избежать downtrend continuation.

mtd_first_2days_long_drift

LONG · calendar · 30 min build

N=90,242 4y

WR 52.7%

+0.17% mean

Sh 0.95

Первые 2 торговых дня календарного месяца = institutional inflows (401k contributions, monthly rebalancing, fund subscriptions) → systematic upward drift в liquid universe.

calendar_day_of_month ≤ 2 AND in 2M-ADV AND prev_close ≥ $5 → LONG basket equal-weight, exit 11:00

Caveat: Edge tiny per-trade ($-EV маленький). Use only on top-50 SPY/QQQ/mega-caps где slip ≤ 5bps.

inside_day_breakout_fade

SHORT · reversal · 30 min build

N=7,011 4y

WR 52.6%

+0.15% mean

Sh 0.41

Вчера tight range (|prev_day_ret| < 2%, near-doji) + сегодня big gap +5% = false breakout из coil → fade gap как institutions re-establish prior range.

|prev_day_ret| ≤ 2% AND today_gap ≥ +5% AND prev_close ≥ $5 → SHORT

▮ NEEDS VALIDATION (data есть, build pending)

futures_cash_divergence_open

DYNAMIC · cross-asset · 1hr build

est. Sh 1.5-2.5 based on lit

ES (S&P futures PM) up >0.5% но cash open (SPY 09:30) up only <0.1% → catch-up к 11:00 в направлении futures. Классический futures-cash arbitrage decay.

ES_PM_close_pct − SPY_open_pct ≥ 0.5 → LONG SPY @ 09:30; reverse → SHORT

Data: es_intraday_pm.parquet, nq_intraday_pm.parquet (есть). Edge typically <30bps — viable только на SPY/QQQ.

vix_term_kink_short_spy

SHORT · vol_regime · 1hr build

est. MED-HIGH per academic lit

VIX1M / VIX2M ≥ 1.05 (backwardation onset) на день после fear spike = continuation lower для SPY/QQQ next morning. Hedge funds front-run vol bid.

vix1m / vix2m ≥ 1.05 AND prev_day SPY ret ≤ −1% AND no_fomc → SHORT SPY

Data: vix_term_raw_daily.parquet (есть, clean). Academic: backwardation predicts continued vol/decline 60-70% of next 1-3 days.

adr_overnight_lag_catchup

DYNAMIC · cross-asset · 1 day build

est. MED per ADR-arb lit

Foreign ADRs (TSM, BABA, NVO, ASML) часто incompletely gap vs home-market overnight move. Catch-up trade: home-market move > ADR gap → trade direction of home market.

|home_market_overnight_ret − ADR_gap| ≥ 0.01 → trade direction of home market, exit 11:00

Data: bloomberg_adr_daily.parquet + 3 related parquets (есть). Complex pipeline — timezone+currency alignment.

4 rejected (с цифрами)

Idea	Side	Validation result	Verdict
pre_fomc_long_drift	LONG	N=54, WR 48.1%, mean −0.09%, Sh −2.19	REJECTED — academic edge decayed
outside_day_reversal_long	LONG	N=6,735, WR 47.5%, mean −0.20%, Sh −0.58	REJECTED — continuation dominates
eom_last2_drift	LONG	N=185,462, WR 48.4%, mean −0.04%, Sh −0.32	REJECTED — window-dressing miф
three_red_days_bounce	LONG	N=168,622, WR ~50%, mean +0.05%, Sh 0.25	WEAK → use 5-red instead

Implementation priorities

30 min builds (5)

monday_gap_down_bounce ⭐
pump_then_volume_dry_short ⭐
five_red_days_bounce
mtd_first_2days_long_drift
inside_day_breakout_fade

1 hr builds (4)

aaoi_pattern v6 ⭐ (regime gate)
two_bar_climax_short (overlay)
futures_cash_divergence (SPY/QQQ)
vix_term_kink_short_spy

1 day build (1)

adr_overnight_lag_catchup
timezone + currency + ADR-home pair mapping

Recommended next steps

Build pm_history parquet (existing pipeline) → run audit на organic_pump в первую очередь
Phase 1 deploy: monday_gap_down_bounce + organic_pump — 2 plugins parallel paper-trade. Diversification (LONG + SHORT, разные регимы).
Build AAOI v6 plugin с regime gate (SPY 5d Sh ≥ 0). Paper-trade 2 weeks. Если live numbers соответствуют backtest — TIER 2.
Build pump_then_volume_dry_short как scoring overlay для organic_pump (boost size 1.5× когда signal coincides).
Real intraday backtest на minute данных (не full-day proxy) для всех новых TIER 1/2 — confirm Sh holds после ×0.5-0.7 adjustment.
1-hr builds (futures_cash, vix_term, AAOI regime gate) после паперtrade Phase 1.
Multi-strategy portfolio rebalance: с monday_bounce LONG + organic_pump SHORT + AAOI SHORT — naturally hedged через side balance.

Asym v2 · 10 new candidates validated · Apr 27, 2026 · proxy 4y data, real Sh ×0.5-0.7 adjusted
Source: research_results/asymmetric_moo1100_v3/ + enrichment_data/daily_4yr_ohlcv.parquet
JSON: asym_v2_extra_ideas.json